债券研究 证 券 研 究 报 告 【债券日报】 转债市场日度跟踪 20251231 (1) 收盘价：大周期环比+0.18%、制造环比-0.02%、科技环比+0.86%、大消费 环比+0.49%、大金融环比-0.76%。 (2) 转股溢价率：大周期环比+0.45pct、制造环比+0.9pct、科技环比-0.7pct、大 消费环比+0.15pct、大金融环比+0.22pct。 市场概况：12 月 31 日转债过半行业上涨，估值环比抬升 指数表现：中证转债指数环比上涨 0.02%、上证综指环比上涨 0.09%、深证成 指环比下降 0.58%、创业板指环比下降 1.23%、上证 50 指数环比下降 0.18%、 中证 1000 指数环比下降 0.03%。 市场风格：中盘价值相对占优。大盘成长环比下降 0.82%、大盘价值环比下降 0.13%、中盘成长环比下降 0.42%、中盘价值环比上涨 0.45%、小盘成长环比 上涨 0.14%、小盘价值环比下降 0.17%。 资金表现：转债市场成交情绪减弱。可转债市场成交额为 746.80 亿元，环比 减少 0.50%；万得全 A 总成交额为 20657.88 亿元，环比减少 4 ...

Core Insights - The article explains the concept of premium rate in ETFs, which represents the percentage of "extra money" spent compared to the actual value of the ETF [1] - It highlights the risks associated with high premium rates, including price corrections, liquidity issues, and the impact of U.S. stock market fluctuations [1] - The article provides guidelines for safely investing in U.S. stock ETFs, emphasizing the importance of scale, liquidity, and understanding the reasons behind premium rates [1] Premium Rate Overview - Premium rate is calculated using the formula: (Market Price - Net Asset Value) ÷ Net Asset Value × 100% [1] - Example provided: An ETF with a net value of 1 yuan and a market price of 1.18 yuan results in a premium rate of 18% [1] Risks of High Premium Rates - Price correction risk: Prices may revert to net asset value once market sentiment cools [1] - Liquidity risk: Low trading volumes in niche ETFs can lead to difficulties in selling without incurring losses [1] - Dual volatility risk: U.S. stock ETFs may reflect market expectations that could differ from actual market performance [1] Investment Guidelines - Prioritize ETFs with larger scale and higher trading volumes to ensure liquidity [1] - Analyze the reasons for premium rates to distinguish between genuine market strength and speculative trading [1] - Monitor year-to-date performance to avoid "chasing highs" as U.S. stocks can also experience corrections [1] - Pay attention to the timing of net asset value updates, as domestic trading uses estimated values during U.S. market hours [1] Latest U.S. Stock ETF Premium Rates - The table lists various ETFs along with their scale, year-to-date performance, and premium rates, indicating that the Nasdaq Technology ETF has a premium rate of 18.52% with a scale of 146.50 billion and a year-to-date increase of 40.19% [2] - Other notable ETFs include the Nasdaq 100 ETF with a premium rate of 13.09% and a scale of 42.39 billion, and the Nasdaq ETF with a premium rate of 9.12% and a scale of 185.44 billion [2]